基于分数布朗运动的随机微分方程
PDF下载 (719)张凌浩,陶祥兴.基于分数布朗运动的随机微分方程[J].宁波大学学报(理工版),2012,25(04):64-69.DOI:
ZHANG Ling-hao,TAO Xiang-xing.Stochastic Differential Equations with a Fractional Brownian Motion[J].Journal of Ningbo University(Natural Science & Engineering Edition),2012,25(04):64-69.DOI:
| Title: | Stochastic Differential Equations with a Fractional Brownian Motion |
| 作者: | 张凌浩, 陶祥兴 |
| Author(s): | ZHANG Ling-hao, TAO Xiang-xing |
| 关键词: | 随机微分方程; 分数布朗运动; Hurst指数 |
| Keywords: | stochastic differential equations; fractional Brownian motion; Hurst parameter |
| 分类号: | O175 |
| 文献标识码: | A |
| 摘要: | 在Hurst指数条件下, 研究了基于分数布朗运动的随机微分方程: 的温和解的局部及整体存在性和唯一性. |
| Abstract: | In this paper we investigate the local and global existence and uniqueness of mild solutions to stochastic differential equations perturbed by a fractional Brownian motion : with Hurst parameter. |
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| 备注/Memo: | Received date: 2011-11-10. Foundation items: Supported by the National Natural Science Foundation of China (20604023). The first author: ZHANG Ling-hao (1986－), male, Xiantao Hubei, post of graduate student, research domain: stochastic differential equation. E-mail: zhanglinghaohb@sina.com *Corresponding author: TAO Xiang-xing (1965－), male, Taizhou Zhejiang, doctor/professor, research domain: differential equation. E-mail: xxtau@163.com 宁波大学学报（理工版）网址：http://journallg.nbu.edu.cn/ |
